- 學位論文
商品價格指數與股價指數之關聯性研究─是否存在新興市場效應？
The Empirical Relationships between Commodity Price Indices and Stock Indices:Are There the Emerging Markets Effects?
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摘要
無論是金屬、農產品或能源等各類型之商品價格(commodity prices)變化，可能反映於股票市場的股價指數變化，或可能反映在總體經濟指標上。尤其是2002年起商品價格的牛市興起，最直接的理由就是市場需求增加，尤其是新興市場的需求增加最為明顯。因此，本研究目的主要是針對商品價格指數期貨與各地資本市場之消長變化（股市多空亦可謂是經濟成長良莠的反映窗口）之關聯性進行探討，尤其是近年來新興市場之快速崛起，是否對於商品市場造成所謂之新興市場效應(emerging market effects)。本研究選取不同類型商品指數與各新興市場股價指數進行比較，以Baffes (2007)提出之商品價格資訊外溢(spill over)之評估模型，評斷商品價格指數與各新興國家資本市場景氣盈虧之關聯性。就實證結果顯示，中國業已不同於其他各類型的新興國家，分別儼然因內需市場之茁壯與全球工廠的角色而建構出不同於其他新興國家之經濟體質。另一方面，台灣與韓國的經濟發展趨勢，皆與全球原物料指數與BDI(波羅的海乾散貨指數)有關聯性，可知台韓兩地產業特性之重疊性相當高，但台灣另有隱憂，是因為台灣本身沒有能源，受到能源價格的影響極高。然而在2009年底，韓國已成為了全球第六核電廠輸出國，故推論韓國能夠不受能源價格衝擊影響的原因之一。且台韓股價指數之相關係數僅為0.1左右，可知在台韓產業結構雖類似的前提下，但兩造之間的相關性不高，回顧台灣電子業當今發展之窘狀，據可推論台灣相對於韓國而言，應有相當的危機意識。
並列摘要
Since 2002, the commodity prices have become higher and higher under the strong demand, especially by the emerging markets, such as BRIC (Brazil, Russia, India, and China) and some large and important emerging countries. Furthermore, the commodity prices changes affect most of economic sectors to different degrees, even has become more speculate in this decade, especially metals, grain and energy commodities market price behavior is more and more speculative and such “emerging market effects” to the different local capital markets are numerous. In this study, we focus on the pass-through of different kinds of commodity prices indices changes to the volatility of different kinds of stock markets. We adopted the “Spill over” model that was developed by Baffes (2007) with the stepwise regression technique to make the comparisons with the different local markets (Taiwan, US, China, Korea and some large and emerging markets) which would be affected by different kinds of commodity indices. According to our empirical study results, we found the combinations of the commodity indices that could affect the China and Korea capital markets are different to the others, which mean China and Korea had developed their own country developing strategies and industrial competitiveness. For Taiwan, should be regarded as a warning.
參考文獻
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